I was looking for an answer to this the other day. I kept reading that this is possible in the x86 version, but not in the x64. I have one x64 machine that I have network drives listed in the libraries, but couldn't figure out how to do it on my new machine.
I just thought to try and add it in WMP to see if it would carry over, and low and behold it did. Came to post on here, and realized that a couple people had already done so.
Anyway, if you are trying to add network shares to the default Pictures, Music, and Videos libraries, if you configure these through WMP you will be able to access the folders through the library links even if they are on an un-indexed network share.